Jack Fosten, "Model Selection with Estimated Factors and Idiosyncratic 
Components", Journal of Applied Econometrics, Vol. 32, No. 6, 2017, pp. 
1087-1106.

The data used in this paper are monthly average exchange rates
(against the USD) and CPI indices for different countries over the
period August 1988 to May 2015. These data were all downloaded using
the DLX interface of the Haver Analytics data provider
(http://www.haver.com). As this is a subscription service, it is not
possible to provide a copy of the data online. However, for those
individuals who have a subscription to Haver, the data codes can be
found below.

For the exchange rates series, Haver cites the Wall Street Journal as
its data source, and for the CPI series it cites the individual
statistical authorities of all of the countries analysed in the paper.
These data are normally readily available from other data providers
such as Thomson Reuters Datastream, for those who do not have access
to Haver.

Any further questions can be addressed to:

Dr Jack Fosten
j.fosten [AT] uea.ac.uk


Haver Codes:

Exchange Rates:

X193SMC@USECON X122SMC@USECON X124SMC@USECON X156SMC@USECON
X128SMC@USECON X170SMC@USECON X172SMC@USECON X132SMC@USECON
X134SMC@USECON X136SMC@USECON X158SMC@USECON X542SMC@USECON
X138SMC@USECON X142SMC@USECON X184SMC@USECON X144SMC@USECON
X146SMC@USECON X112SMC@USECON


CPI Indices:

H122PC@G10 H124PC@G10 H156PC@G10 H128PC@G10 H025PC@G10 H172PC@G10
H132PC@G10 S134PC@G10 H136PC@G10 H158PC@G10 H138PC@G10 H142PC@G10
H184PC@G10 H144PC@G10 H146PC@G10 H112PHPC@G10 S111PC@G10 H542PC@EMERGE